14 • Liquidity Factor = count of CLOB trades within Spread Goal / count of all CLOB trades. • A trade is considered to be within the Spread Goal if the difference in its trade price from the previous trade price within the same day is equal to or less than the Spread Goal. • If no trades occur in a month, then the Market Maker is considered to have passed. • Excludes crosses (when buying broker = selling broker). • Measured during continuous trading hours only (9:30AM – 4:00 PM), and excludes periods where a security may be halted, suspended or delayed. 5. Opening Presence • Opening presence is intended to measure the degree a market is established ahead of the market opening, which contributes to an orderly price discovery process at the open. • Market Makers must ensure there is a two-sided market on the security at least 95% of the time between 9:25 AM and 9:30 AM. • At the end of the month, the system calculates the percentage of time a two-sided quote is maintained on a security, which includes the time when the quote is locked/crossed during the sum of all 5 minute preopening periods that month. In order to be considered a pass, the percentage of time must be equal to or greater than 95%. • Market Makers must also be available to TSX Market Operations officials to assist in the verification of market prices in the event a stock is exceeding its volatility settings. In special circumstances such as extreme market volatility or where systems issues interfere with the ability of a Market Maker to reasonably meet its obligations, TSX may use its discretion to adjust performance obligations, either for a particular security or on a market wide basis. 3.2.2 Measurement of Each Market Maker’s Contribution to Stock Level Performance Obligations Each of the two MMs assigned to a security receives a Contribution Score which measures their contributions relative to each other in maintaining the symbol level performance targets. The Contribution Score is based on each MM’s contribution to achieving each of the Spread Goal (“SG”), %Time at NBBO, and Top of Book (“TOB”) Size symbol level performance targets. Spread Goal and % Time at NBBO contributions are assessed in terms of a net corrections component and a % time alone at target, called Alone Presence component, while TOB size contributions are assessed in terms of each MM’s overall average contribution to the TOB size where not fulfilled by natural liquidity, called TOB Size Contribution. The final overall Contribution Score is calculated by combining the MM’s score in each of the three measured categories. Each of the three categories is given even weighting in calculating the final Contribution Score. The breakdown of the three categories is as follows: • SG measurements = 33.33% • Relative Net SG corrections = 50% total SG weight • Relative SG Alone Presence = 50% total SG weight
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